SOFR discounting
Posted: November 30th, 2018, 12:59 pm
Feels like a silly question:
The LCH cleared swaps market is discounted by OIS curve based on daily FF.
This is because of the collateral can be invested at the FF rate.
Why wouldn't it be discounted at SOFR(assuming such curve exist)?
Isn't it closer to the risk free rate?
Many Thanks,
Fish
The LCH cleared swaps market is discounted by OIS curve based on daily FF.
This is because of the collateral can be invested at the FF rate.
Why wouldn't it be discounted at SOFR(assuming such curve exist)?
Isn't it closer to the risk free rate?
Many Thanks,
Fish